Findings in literature indicates a positive effect of aerobic exercise and physical activity relating to anxiety, depression and psychological well-being (De Moor, Beem, Stube, Boomsa & DeGeus, 2006; Petruzello, Landers, Hatfield, Kubitz & Salazar, 1991; Schmitz, Kruse & Kugler, 2004; Wipfli Rethorst & Landers, 2008; Wipfli, Landers, Nagoshi & Ringenbach, 2011). Futhermore, studies show that there is a positive influence of sport and exercise on physical self-esteem (Ekeland, Heian & Hagen, 2005; Reel et al., 2007; Spence, McGannon & Poon, 2005). The aim of this study therefore is to replicate their results and to determine if climbing as an anaerobic sport leads to similar outcomes as the other aerobic forms doNinety-three participants aged between 18 and 45 years (M=22.62 years, SD=3.79 years) were randomly assigned to a four-week treatment of regular aerobic exercise (running), anaerobic exercise (climbing) or a social-control-group. Trait-anxiety (STADI; Laux, Hock, Bergner-Köther, Hodapp & Renner, 2013) and self-esteem (MSWS; Schütz & Sellin, 2006) was assessed before and after treatment, while state-anxiety (STADI) was assessed, three times before and after exercise during the treatment.The statistical analysis showed, that the participants in exercise groups significantly reduced state-(d=0.55) and trait-anxiety (d=0.24) and improved physical self-esteem (d=0.24). In comparison to the social-control-group (state-anxiety: d=0.34, trait-anxiety: d=0.43, physical self-esteem: d=0.18) no significant differences could be found. Depressive scores have been significantly reduced only by the exercise treatments (d=0.82) (social-control-group: d=-0.06).These results suggest that regular exercise, in a social setting, leads to a decrease of anxiety and depression and can also improve physical self-esteem. Climbing as an anaerobic sport leads to similar effects and results as running.